Seems like the two were very tight close at the beginning of the companions quest line before she gets an attachment to your character to avenge his death and than Aela becomes a possible wife by option later in the story line.

There's another woman who brings it up to her and she gets defensive as if its a secret, even though she comes off really open about it and is always hanging on Skjor's shoulder and constantly going out and hunting with him. It also seems they have everything in common from their faith in Hircine to combat, to hunting and killing.

Thoughts?

I would agree there was some kind of connection cause I didn't avenge Kodlak as much as Skjor

They're definitely close friends at the beginning of the story arc, but whether they're lovers or not is left ambiguous. I've heard that bit of dialogue with Njada, but that's not really definitive either since as a lower-ranking member, she doesn't know The Circle's secret. Aela could just as easily be getting defensive about going out with Skjor to hunt in beast form since they're the two who really embrace that. If I had to say, I'd lean towards saying they are/were platonic since Aela is willing to move on to the PC so soon, but if you'd like to imagine there's more to it, there really isn't any evidence to directly contradict that theory.